When dealing with market activity, different frequency of observation may reveal relevant information of interest to model financial time series. We embed a MIDAS (MI(xed)-DA(ta) Sampling) component in a multiplicative error model (MEM) context (MEM-MIDAS). The proposed specification considers a low frequency component, say monthly, in the conditional expectation of a daily non-negative process. The empirical application illustrates the performance of the MEM- MIDAS model on the realized volatility of the NASDAQ index, statistically outper-forming the standard MEM model and other popular specifications.
On the Use of Mixed Sampling in Modelling Realized Volatility: The MEM–MIDAS / Amendola, Alessandra; Candila, Vincenzo; Cipollini, Fabrizio; Gallo, Giampiero M.. - STAMPA. - (2021), pp. 7-13. [10.1007/978-3-030-78965-7_2]
On the Use of Mixed Sampling in Modelling Realized Volatility: The MEM–MIDAS
Candila, Vincenzo;Cipollini, Fabrizio;Gallo, Giampiero M.
2021
Abstract
When dealing with market activity, different frequency of observation may reveal relevant information of interest to model financial time series. We embed a MIDAS (MI(xed)-DA(ta) Sampling) component in a multiplicative error model (MEM) context (MEM-MIDAS). The proposed specification considers a low frequency component, say monthly, in the conditional expectation of a daily non-negative process. The empirical application illustrates the performance of the MEM- MIDAS model on the realized volatility of the NASDAQ index, statistically outper-forming the standard MEM model and other popular specifications.
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